CHF quarterly mean reversion

In this analysis we will look at the CHF futures to investigate the presence of any anomalies related to the mean reversion.

Let’s begin by dividing the time series into quarters starting from 2003.

Figure 1 – CHF chart 2001 – 2012 (source: https://it.tradingview.com/symbols/CME-6S1!/)

We then go on to identify the quarters that had a negative return, and then check whether in the following quarter their value appreciated.

Year	Quarter		Tick Movements
2006	1	Jan-Mar	-0,0002
2012	1	Jan-Mar	0,0334
2015	1	Jan -Mar	0,0206
2016	1	Jan -Mar	0,0372
2017	1	Jan -Mar	0,0170
2018	1	Jan -Mar	0,0103
2019	1	Jan -Mar	-0,0229
2022	1	Jan -Mar	-0,0500
2004	2	Jan -Jun	0,0086
2005	2	Apr-Jun	-0,0607
2006	2	Apr-Jun	0,0426
2007	2	Apr-Jun	-0,0118
2009	2	Apr-Jun	0,0416
2010	2	Apr-Jun	-0,0215
2013	2	Apr-Jun	0,0058
2019	2	Apr-Jun	0,0113
2020	2	Apr-Jun	0,0107
2021	2	Apr-Jun	0,0086
2022	2	Apr-Jun	0,0211
2003	3	Jul-Sep	0,0156
2005	3	Jul-Sep	-0,0117
2007	3	Jul-Sep	0,0354
2008	3	Jul-Sep	-0,0843
2010	3	Jul-Sep	0,0894
2012	3	Jul-Sep	0,0070
2014	3	Jul-Sep	-0,0816
2016	3	Jul-Sep	0,0013
2018	3	Jul-Sep	0,0039
2005	4	Oct-Dec	-0,0192
2006	4	Oct-Dec	0,0122
2008	4	Oct-Dec	0,0351
2011	4	Oct-Dec	-0,0375
2014	4	Oct-Dec	-0,0411
2015	4	Oct-Dec	-0,0295
2017	4	Oct-Dec	-0,0129
2019	4	Oct-Dec	0,0242
2021	4	Oct-Dec	-0,0117

Table 1 – List of quarters with corresponding tick movements in which the previous quarter’s performance was negative.

In this first analysis, we have a Win ratio of 60% on 37 trades.

Examining the quarters separately, we find more significant data, shown in Table 2.

Quarter		Win Ratio
1	Jen-Mar	63%
2	Apr-Jun	73%
3	Jul-Sep	66%
4	Oct-Dec	33%

Table 2 – Win ratio per quarter.

As can be seen from the table, CHF’s tendency to respond to a negative quarter loses its effectiveness in the last quarter of the year (October-December).

The one presented here is a basic Mean Reversion Strategy, from which good market entry cues can be derived. In particular, it is possible to optimise the day on which the position is opened, here set as the first operational day for each quarter.